Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
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Publication:1745943
DOI10.1007/s10626-017-0247-8zbMath1384.93145OpenAlexW2615245331MaRDI QIDQ1745943
Publication date: 18 April 2018
Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10626-017-0247-8
simulationperturbation analysisdistribution sensitivitygeneralized likelihood ratio methodsteady-state processesstochastic derivative estimation
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A Stochastic Approximation Method for Simulation-Based Quantile Optimization ⋮ Computing Sensitivities for Distortion Risk Measures ⋮ Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning ⋮ Density Estimation by Monte Carlo and Quasi-Monte Carlo ⋮ Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling ⋮ Efficient Sampling Allocation Procedures for Optimal Quantile Selection
Uses Software
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